How can I make a pill shape? (capsule)
Yes, you can do it in a few steps:

(updated as per PG math's advice)


Add a sphere Shift-A>Mesh>Sphere
Enter edit mode Tab
Set the shading to smooth
Grab one end, including the middle loop (use Numpad 3 to go into side view and Z to be able to select vertices on the other side. Then hit B for box select to get everything except the middle loop.)
extrude it up using E.




Result:





Bonus:

How to add the ridge:


Use Alt-RMB to select the desired loop, you'll have to do this twice, once for each side.
Deselect the vertices at the ends of the pill
Use Ctrl-B to bevel the edges, make it a very very small bevel
in the F6 menu, set the number of cuts to 3.
Select the middle cut and scale it out a bit, use Alt-S
Add loop cuts to the edges loops around the edge to help keep the smooth shading correct.